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Looking for evidence of speculative stockholding in commodity markets

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  • Ng, Serena

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File URL: http://www.sciencedirect.com/science/article/B6V85-3VWPNPX-J/2/55f5019dd62fc32d6a3d0b226c76ae52
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 20 (1996)
Issue (Month): 1-3 ()
Pages: 123-143

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Handle: RePEc:eee:dyncon:v:20:y:1996:i:1-3:p:123-143
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  2. Christopher L Gilbert, 1993. "Modelling Market Fundamentals: A Model of the Aluminium Market," CEPR Financial Markets Paper 0030, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ..
  3. repec:cup:cbooks:9780521326162 is not listed on IDEAS
  4. Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
  5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  6. Newbery, David M G & Stiglitz, Joseph E, 1982. "Optimal Commodity Stock-piling Rules," Oxford Economic Papers, Oxford University Press, vol. 34(3), pages 403-27, November.
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Cited by:

  1. Sprumont, Y., 1995. "On the Game-Theoretic Structure of Public-Good Economies," Cahiers de recherche 9519, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Tomek, William G. & Peterson, Hikaru Hanawa, 2000. "Risk Management In Agricultural Markets: A Survey," 2000 Producer marketing and Risk Management Conference, January 13-14, Orlando, FL 19580, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  3. Yu-Shan Wang & Chung-Gee Lin & Shih-Chieh Shih, 2011. "The dynamic relationship between agricultural futures and agriculture index in China," China Agricultural Economic Review, Emerald Group Publishing, vol. 3(3), pages 369-382, September.
  4. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
  5. Hikaru Hanawa Peterson & William G. Tomek, 2005. "How much of commodity price behavior can a rational expectations storage model explain?," Agricultural Economics, International Association of Agricultural Economists, vol. 33(3), pages 289-303, November.
  6. Ron Alquist & Olivier Coibion, 2014. "Commodity Price Co-Movement and Global Economic Activity," Working Papers 14-32, Bank of Canada.
  7. Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics.
  8. Pesaran, H.M. & Ruge-Murcia, F.J., 1995. "A Discrete-Time Version of Target Zone Models with Jumps," Cambridge Working Papers in Economics 9513, Faculty of Economics, University of Cambridge.
  9. Christophe Gouel, 2012. "Agricultural Price Instability: A Survey Of Competing Explanations And Remedies," Journal of Economic Surveys, Wiley Blackwell, vol. 26(1), pages 129-156, 02.
  10. repec:inr:wpaper:169583 is not listed on IDEAS
  11. Kornher, Lukas & Kalkuhl, Matthias, 2013. "Food price volatility in developing countries and its determinants," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156132, German Association of Agricultural Economists (GEWISOLA).
  12. Cesar Revoredo, 2000. "On The Solution Of The Dynamic Rational Expectations Commodity Storage Model In The Presence Of Stockholding By Speculators And Processors," Computing in Economics and Finance 2000 42, Society for Computational Economics.
  13. Myers, Robert J., 2013. "Evaluating the effectiveness of inter-regional trade and storage in Malawi’s private sector maize markets," Food Policy, Elsevier, vol. 41(C), pages 75-84.

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